Extended mean-field games

DOI10.4171/RLM/907MaRDI QIDQ2658507zbMATH OpenOpenAlexFDO

Authors P.-L. Lions, Panagiotis E. Souganidis

Publication date 23 March 2021

Published in Atti della Accademia Nazionale dei Lincei. Classe di Scienze Fisiche, Matematiche e Naturali. Serie IX. Rendiconti Lincei. Matematica e Applicazioni (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4171/rlm/907

zbMATH Keywords

backward quasilinear transport equationforward Hamilton-Jacobi equation

Mathematics Subject Classification ID

Homogenization in context of PDEs; PDEs in media with periodic structure (35B27) Hamilton-Jacobi equations (35F21) Initial-boundary value problems for systems of nonlinear higher-order PDEs (35G61) Second-order parabolic systems (35K40) Quasilinear parabolic equations (35K59) Transport equations (35Q49) Mean field games (aspects of game theory) (91A16)

Review text

Summary: We introduce a new class of coupled forward-backward in time systems consisting of a forward Hamilton-Jacobi and a backward quasilinear transport equation, which we call extended mean-field games system. This new class of equations strictly contains the classical mean-field games system with no common noise and its homogenization limit, and optimal transportation-type control problems. We also identify a new and meaningful ``monotonicity-type condition that yields well-posedeness. The same condition yields uniqueness in the Hilbertian setting for the master equation without common noise as well as the hyperbolic system describing finite-state mean-field games.

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Cites work

• Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle
• Mean field games
• Minimal geodesics on groups of volume-preserving maps and generalized solutions of the Euler equations
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Cited in

(16)

• Homogenization of the backward-forward mean-field games systems in periodic environments
• Bertrand and Cournot mean field games
• Classical and weak solutions to local first-order mean field games through elliptic regularity
• Extended deterministic mean-field games
• Mean field games with a dominating player
• Extended mean field games
• Classical solutions to local first-order extended mean field games
• Minimal solutions of master equations for extended mean field games
• Regularity and Long Time Behavior of One-Dimensional First-Order Mean Field Games and the Planning Problem
• Monotone solutions for mean field games master equations: continuous state space and common noise
• On some mean field games and master equations through the lens of conservation laws
• Linear-quadratic extended mean field games with common noises
• Mean field games systems under displacement monotonicity
• Non-separable mean field games for pedestrian flow: generalized Hughes model
• Optimal production control with carbon trading and sticky price: Nash and social solutions
• Noise through an additional variable for mean field games master equation on finite state space

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